Information, forecasts and measurement of the business cycle
AbstractThe Beveridge-Nelson (BN) technique provides a forecast-based method of decomposing a variable such as output, into trend and cycle when the variable is integrated of order one (I (1)). This paper considers the multivariate generalization of the BN decomposition when the information set includes other I (1) and/or stationary variables. We show that the relative importance of the cyclical component depends on the information set, and in particular that multivariate BN decompositions necessarily ascribe more importance to the cyclical component than does the univariate decomposition, provided the information set includes a variable which Granger-causes output. We illustrate the results for post-war data for the United States.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/10155.
Date of creation: Apr 1994
Date of revision:
Publication status: Published in: Journal of Monetary Economics (1994) v.33 n° 2,p.233-254
Other versions of this item:
- Evans, George & Reichlin, Lucrezia, 1994. "Information, forecasts, and measurement of the business cycle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(2), pages 233-254, April.
- Evans, George W & Reichlin, Lucrezia, 1993. "Information, Forecasts and Measurement of the Business Cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 756, C.E.P.R. Discussion Papers.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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